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Modelling stock market liquidity in Australia and the Asia Pacific Region. This project will develop new methods of assessing stock market liquidity in Australia and the Asia-Pacific region. These methods will use high frequency transactions-based data provided by the industry partner, SIRCA. The data will be the basis of smart information real time algorithms for measuring market liquidity. They will incorporate generalizations and extensions of recent developments in time series econometrics, ....Modelling stock market liquidity in Australia and the Asia Pacific Region. This project will develop new methods of assessing stock market liquidity in Australia and the Asia-Pacific region. These methods will use high frequency transactions-based data provided by the industry partner, SIRCA. The data will be the basis of smart information real time algorithms for measuring market liquidity. They will incorporate generalizations and extensions of recent developments in time series econometrics, and will be calibrated and evaluated statistically. The novel methods will be crucial to market participants and to regulators, who will be able to apply them to assess market depth and liquidity, and reduce trading costs substantially.Read moreRead less
Multifractal models in finance via the crossing tree. High level mathematical modelling is an established part of the modern finance industry, in particular the Black-Scholes option pricing formula is now an indispensable financial tool.
To remain competitive the Australian financial sector needs to keep up with developments in mathematical finance, which is only possible if the Australian academic community remains active in the field.
The work on multifractal modelling proposed here is innov ....Multifractal models in finance via the crossing tree. High level mathematical modelling is an established part of the modern finance industry, in particular the Black-Scholes option pricing formula is now an indispensable financial tool.
To remain competitive the Australian financial sector needs to keep up with developments in mathematical finance, which is only possible if the Australian academic community remains active in the field.
The work on multifractal modelling proposed here is innovative both in its theoretical aspects and its applied methodology, and will ensure that Australian research remains at the cutting edge of this highly competitive and fast moving field.Read moreRead less
Nonlinear spatial and spatiotemporal econometrics: theory with applications. Modern societies like Australia have major challenges in the forecasting, measuring and managing of risks associated with global economic and environmental/climate changes. These tasks require advanced econometric techniques in modelling and forecasting of complex nonlinear spatiotemporal variability in economic and social systems. This project will develop frontier econometric technologies that enable more accurate eco ....Nonlinear spatial and spatiotemporal econometrics: theory with applications. Modern societies like Australia have major challenges in the forecasting, measuring and managing of risks associated with global economic and environmental/climate changes. These tasks require advanced econometric techniques in modelling and forecasting of complex nonlinear spatiotemporal variability in economic and social systems. This project will develop frontier econometric technologies that enable more accurate economic and climate forecasts. The tools produced will provide Australia's scientists and policy-makers with a greater capacity to manage the risks associated with these challenges. A side-benefit of the research will be high-quality publications that enhance the nation's reputation in this cutting edge research.Read moreRead less
Understanding and Modelling Weather Derivatives in Australia for the Purpose of their Accurate Pricing: a Statistical and Econometric Investigation. Australia suffers some of the most adverse and extreme weather globally. Its government and industries, especially agriculture and electricity, stand to benefit from improved understanding of weather derivatives and capability to price them accurately. Tailored to Australian weather scenarios, weather derivatives will be tools to manage local risk f ....Understanding and Modelling Weather Derivatives in Australia for the Purpose of their Accurate Pricing: a Statistical and Econometric Investigation. Australia suffers some of the most adverse and extreme weather globally. Its government and industries, especially agriculture and electricity, stand to benefit from improved understanding of weather derivatives and capability to price them accurately. Tailored to Australian weather scenarios, weather derivatives will be tools to manage local risk factors, and increase global competitiveness by hedging against competitors' good weather-related advantage. The US weather derivative market, capitalised at over US$7.5b, began just 7 years ago; there is no organised Australian market. This project's smart techniques for improving pricing accuracy will support the development and vigorous growth of a local market.Read moreRead less
Nonlinear Panel Data Econometrics: Theory and Practice. This research addresses the ARC National Research Priorities Goal of 'An Environmentally Sustainable Australia', specifically 'Reducing and capturing emissions in transport and energy generation'. Avoiding, managing, and/or adapting to the climate change impacts is now the most pressing global environmental problem. This project will produce tangible and original insights into policy options for institutional adjustment to future climate ....Nonlinear Panel Data Econometrics: Theory and Practice. This research addresses the ARC National Research Priorities Goal of 'An Environmentally Sustainable Australia', specifically 'Reducing and capturing emissions in transport and energy generation'. Avoiding, managing, and/or adapting to the climate change impacts is now the most pressing global environmental problem. This project will produce tangible and original insights into policy options for institutional adjustment to future climate change in Australia; will provide insight into the scope for positive community behavioural change; and possible transformations in Australian social debate to maximise adaptive capacity. It will also strengthen and produce original conceptual approaches and research methods.Read moreRead less
Special Research Initiatives - Grant ID: SR0354895
Funder
Australian Research Council
Funding Amount
$40,000.00
Summary
Financial Integrity Research Network (FIRN). FIRN will be directed towards innovation in the integrity and efficiency of Australia's financial system. To address pressing problems and threats associated with this key component of Australia's infrastructure, FIRN will bring together a multi-disciplinary network featuring internationally renowned academics in a unique collaborative research effort which will cross conventional disciplinary boundaries including financial economics, applied statist ....Financial Integrity Research Network (FIRN). FIRN will be directed towards innovation in the integrity and efficiency of Australia's financial system. To address pressing problems and threats associated with this key component of Australia's infrastructure, FIRN will bring together a multi-disciplinary network featuring internationally renowned academics in a unique collaborative research effort which will cross conventional disciplinary boundaries including financial economics, applied statistics, actuarial science, financial mathematics, market micro-structure, accounting and information systems. FIRN will be supported by SIRCA's world-class financial research infrastructure and industry network. It will deliver a range of innovative research, educational, professional development and applied outcomes.Read moreRead less
ARC Financial Integrity Research Network. The integrity of the financial system is constantly under stress because of the development of ever more complex financial instruments, structures and strategies, and the associated research technologies that continues to accelerate worldwide. FIRN's vision is to harness the considerable strengths of Australia's internationally renowned finance, accounting and economics researchers into a research agenda to address issues concerning the integrity of the ....ARC Financial Integrity Research Network. The integrity of the financial system is constantly under stress because of the development of ever more complex financial instruments, structures and strategies, and the associated research technologies that continues to accelerate worldwide. FIRN's vision is to harness the considerable strengths of Australia's internationally renowned finance, accounting and economics researchers into a research agenda to address issues concerning the integrity of the financial system. It will enable Australian research in this area to match the scale and impact of similar research in other major international financial centres, and play an essential role in placing Australia among the world's leaders in financial markets related research.Read moreRead less
New Statistical Procedures for Analysing Dependence in Non-Gaussian Time Series Data. In the economic, finance and business spheres, statistical data is often discrete, binary, strictly positive, or characterized by an uneven distribution of values above and below the average. Prominent examples are the high frequency financial data that have become accessible with the computerization of financial markets, including the number of trades in successive time intervals, the direction of price change ....New Statistical Procedures for Analysing Dependence in Non-Gaussian Time Series Data. In the economic, finance and business spheres, statistical data is often discrete, binary, strictly positive, or characterized by an uneven distribution of values above and below the average. Prominent examples are the high frequency financial data that have become accessible with the computerization of financial markets, including the number of trades in successive time intervals, the direction of price changes, the time between trades and the return on a financial asset over short periods. This project develops a range of new statistical tools that will enable both researchers and practitioners to analyze the dynamic behaviour in such data and thereby validate and implement a range of financial models.Read moreRead less
Building flexible multivariate models and their application in Finance. The project will develop methods for analyzing the properties of dependent measurements that may evolve through time. The new methods will significantly improve on current best statistical practice and will be applied to important problems in the financial sector such as asset allocation and risk management. The financial sector is a vital part of the Australian economy and it is important to understand the joint behavior of ....Building flexible multivariate models and their application in Finance. The project will develop methods for analyzing the properties of dependent measurements that may evolve through time. The new methods will significantly improve on current best statistical practice and will be applied to important problems in the financial sector such as asset allocation and risk management. The financial sector is a vital part of the Australian economy and it is important to understand the joint behavior of financial assets in order to understand and allow for risk. The methods will have immediate application in other disciplines such as medicine, engineering and the environmental sciences. The project will train a postdoctoral student and three PhD students in cutting edge financial econometrics. Read moreRead less
Quantifying Country Credit Risk Ratings and Volatility, and Measuring the Impact of Fundamentals. National/community benefits include developing a superior quantifiable ratings method to the qualitative rankings produced by leading international country credit risk ratings agencies, measuring the impact of economic/financial fundamentals on risk ratings, and analysing their fluctuations across countries and risk categories over time. The project provides a solution to the major problems underlyi ....Quantifying Country Credit Risk Ratings and Volatility, and Measuring the Impact of Fundamentals. National/community benefits include developing a superior quantifiable ratings method to the qualitative rankings produced by leading international country credit risk ratings agencies, measuring the impact of economic/financial fundamentals on risk ratings, and analysing their fluctuations across countries and risk categories over time. The project provides a solution to the major problems underlying qualitative country risk ratings, namely the irregularity and infrequency of their measurement, and emphasizes the practicality of the results. Expected outcomes include a clearer understanding of how to quantify qualitative rankings and their fluctuations, using information intelligently, and promoting an innovation and knowledge culture.Read moreRead less